• Media type: E-Article
  • Title: Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
  • Contributor: Tissaoui, Kais; Hkiri, Besma; Zaghdoudi, Taha; Azibi, Jamel
  • Published: Hindawi Limited, 2022
  • Published in: Complexity, 2022 (2022), Seite 1-23
  • Language: English
  • DOI: 10.1155/2022/2818633
  • ISSN: 1099-0526; 1076-2787
  • Keywords: Multidisciplinary ; General Computer Science
  • Origination:
  • Footnote:
  • Description: <jats:p>In this paper, wavelet coherences and quantile autoregressive distributed lag (QARDL) approaches are used to study the effect of economic policy uncertainty (EPU), infectious disease EMV tracker (IDEMV), and implied volatility (VIX) on illiquidity during the tranquil and COVID-19 epidemic periods in the US financial market. Our results show that lagged EPU, current VIX, and lagged VIX positively affect illiquidity during the calm period, while the lagged EPU and current VIX decrease illiquidity during the pandemic period. Furthermore, infectious diseases in the financial market during the pandemic crisis play a significant role in instantaneously improving liquidity, while it was not significant during the tranquil period. Similarly, we suggest that with the combined effect of the EPU and the VIX, the uncertainty caused by implied volatility decreases liquidity in a lagged and contemporaneous manner, while an improvement in liquidity is revealed in the case of the EPU.</jats:p>
  • Access State: Open Access